Attached files
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EX-32.2 - EXHIBIT 32.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP | csafexhibit32_02.htm |
EX-32.1 - EXHIBIT 32.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP | csafexhibit32_01.htm |
EX-31.2 - EXHIBIT 31.02 - CAMPBELL STRATEGIC ALLOCATION FUND LP | csafexhibit31_02.htm |
EX-31.1 - EXHIBIT 31.01 - CAMPBELL STRATEGIC ALLOCATION FUND LP | csafexhibit31_01.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
For the quarterly period ended September 30, 2020
or
☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
For the transition period from ________ to _________
Commission File number: 000-22260
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Exact name of Registrant as specified in charter)
Delaware
|
52-1823554
|
|
(State or other jurisdiction of incorporation or organization)
|
(IRS Employer Identification Number)
|
2850 Quarry Lake Drive
|
||
Baltimore, Maryland 21209
|
||
(Address of principal executive offices, including zip code)
|
||
(410) 413-2600
|
||
(Registrant’s telephone number, including area code)
|
Securities registered pursuant to Section 12(b) of the Act:
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
Not applicable.
|
Not applicable.
|
Not applicable.
|
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the
registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive data File required to be submitted and posted pursuant to Rule 405 of regulation S-T
(§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated
filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☑
|
Smaller reporting company ☐
|
Emerging growth company ☐
|
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section
13(a) of the Securities Act. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☑
The Registrant has no voting stock. As of September 30, 2020, there were 67,365.223 Units of General and Limited Partnership Interest issued and outstanding.
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-4
|
|||
5
|
|||
6
|
|||
7
|
|||
8
|
|||
9
|
|||
10-24
|
|||
Item 2.
|
25-33
|
||
Item 3.
|
34-37
|
||
Item 4.
|
38
|
||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
39 | ||
Item 1A.
|
39 | ||
Item 2.
|
39 | ||
Item 3.
|
39 | ||
Item 4.
|
39 | ||
Item 5.
|
39 | ||
Item 6.
|
40-41
|
||
42 |
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
SEPTEMBER 30, 2020 (Unaudited)
FIXED INCOME SECURITIES
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
|||||||
Asset Backed Securities
|
||||||||||
United States
|
||||||||||
Auto Loans
|
$
|
6,875,842
|
5.12
|
%
|
||||||
Credit Cards
|
551,548
|
0.41
|
%
|
|||||||
Equipment Loans
|
441,692
|
0.33
|
%
|
|||||||
Utility Rate Reduction Bonds
|
11,634
|
0.01
|
%
|
|||||||
Total Asset Backed Securities (cost $7,826,310)
|
7,880,716
|
5.87
|
%
|
|||||||
Bank Deposits
|
||||||||||
United States
|
||||||||||
Financials
|
1,125,184
|
0.84
|
%
|
|||||||
Total Bank Deposits (cost $1,125,171)
|
1,125,184
|
0.84
|
%
|
|||||||
Commercial Paper
|
||||||||||
Australia
|
||||||||||
Financials (cost $249,803)
|
249,971
|
0.19
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $1,057,971)
|
1,064,294
|
0.79
|
%
|
|||||||
United Kingdom
|
||||||||||
Financials (cost $3,753,846)
|
3,753,828
|
2.80
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,828,928
|
1.36
|
%
|
|||||||
Energy
|
2,598,677
|
1.94
|
%
|
|||||||
Financials
|
15,510,601
|
11.56
|
%
|
|||||||
Industrials
|
3,388,481
|
2.53
|
%
|
|||||||
Utilities
|
5,246,530
|
3.91
|
%
|
|||||||
Total United States (cost $28,555,449)
|
28,573,217
|
21.30
|
%
|
|||||||
Total Commercial Paper (cost $33,617,069)
|
33,641,310
|
25.08
|
%
|
|||||||
Corporate Bonds
|
||||||||||
Australia
|
||||||||||
Financials (cost $1,910,000)
|
1,917,378
|
1.43
|
%
|
|||||||
Canada
|
||||||||||
Financials (cost $3,752,367)
|
3,761,020
|
2.80
|
%
|
|||||||
Germany
|
||||||||||
Consumer Discretionary (cost $2,144,593)
|
2,157,326
|
1.61
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $1,304,712)
|
1,323,610
|
0.99
|
%
|
|||||||
United Kingdom
|
||||||||||
Financials (cost $1,880,000)
|
1,885,444
|
1.40
|
%
|
|||||||
United States
|
||||||||||
Communications
|
545,907
|
0.41
|
%
|
|||||||
Consumer Discretionary
|
6,027,244
|
4.49
|
%
|
|||||||
Energy
|
2,556,538
|
1.90
|
%
|
|||||||
Financials
|
10,176,765
|
7.59
|
%
|
|||||||
Health Care
|
911,879
|
0.68
|
%
|
|||||||
Industrials
|
2,758,181
|
2.06
|
%
|
|||||||
Materials
|
476,967
|
0.35
|
%
|
|||||||
Technology
|
3,050,684
|
2.27
|
%
|
|||||||
Total United States (cost $26,338,188)
|
26,504,165
|
19.75
|
%
|
|||||||
Total Corporate Bonds (cost $37,329,860)
|
$
|
37,548,943
|
27.98
|
%
|
See
Accompanying Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020 (Unaudited)
FIXED INCOME SECURITIES
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value
|
|||||||
Government and Agency Obligations
|
||||||||||
United States
|
||||||||||
U.S. Treasury Bills
|
||||||||||
$135,000
|
U.S. Treasury Bills * Due 10/15/2020
|
$
|
134,996
|
0.10
|
%
|
|||||
$7,675,000
|
U.S. Treasury Bills * Due 11/12/2020
|
7,674,187
|
5.72
|
%
|
||||||
$12,085,000
|
U.S. Treasury Bills * Due 12/17/2020
|
12,082,607
|
9.01
|
%
|
||||||
Total Government and Agency Obligations (cost $19,891,687)
|
19,891,790
|
14.83
|
%
|
|||||||
Total Fixed Income Securities ** (cost $99,790,097)
|
$
|
100,087,943
|
74.60
|
%
|
LONG FUTURES CONTRACTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
687,002
|
0.51
|
%
|
||||
Energy
|
(4,416
|
)
|
0.00
|
%
|
||||
Metals
|
261,091
|
0.19
|
%
|
|||||
Stock indices
|
(262,329
|
)
|
(0.19
|
)%
|
||||
Short-term interest rates
|
36,224
|
0.03
|
%
|
|||||
Long-term interest rates
|
579,572
|
0.43
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
1,297,144
|
0.97
|
%
|
SHORT FUTURES CONTRACTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
(75,410
|
)
|
(0.06
|
)%
|
||||
Energy
|
846,075
|
0.63
|
%
|
|||||
Metals
|
287,564
|
0.22
|
%
|
|||||
Stock indices
|
(76,974
|
)
|
(0.06
|
)%
|
||||
Short-term interest rates
|
34,602
|
0.03
|
%
|
|||||
Long-term interest rates
|
(51,231
|
)
|
(0.04
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
964,626
|
0.72
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
2,261,770
|
1.69
|
%
|
FORWARD CURRENCY CONTRACTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
(4,858,162
|
)
|
(3.62
|
)%
|
|||
Various short forward currency contracts
|
4,152,526
|
3.09
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(705,636
|
)
|
(0.53
|
)%
|
CREDIT DEFAULT SWAPS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $491,806)
|
$
|
412,214
|
0.31
|
%
|
||||
Total credit default swaps (net cost $491,806)
|
$
|
412,214
|
0.31
|
%
|
INTEREST RATE SWAPS
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $279,320)
|
$
|
453,384
|
0.34
|
%
|
||||
Centrally cleared interest rate swaps - Pay fixed (net cost $1,957)
|
(2,185
|
)
|
0.00
|
%
|
||||
Total interest rate swaps (net cost $281,277)
|
$
|
451,199
|
0.34
|
%
|
*
|
Pledged as collateral for the trading of futures positions.
|
**
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $19,891,790 deposited with the futures broker.
|
See Accompanying Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)
FIXED INCOME SECURITIES
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
|||||||
Asset Backed Securities
|
||||||||||
United States
|
||||||||||
Auto Loans
|
$
|
8,083,815
|
4.93
|
%
|
||||||
Credit Cards
|
1,495,173
|
0.91
|
%
|
|||||||
Equipment Loans
|
563,774
|
0.35
|
%
|
|||||||
Utility Rate Reduction Bond
|
366,602
|
0.22
|
%
|
|||||||
Total Asset Backed Securities (cost $10,469,597)
|
10,509,364
|
6.41
|
%
|
|||||||
Bank Deposits
|
||||||||||
Singapore
|
||||||||||
Financials
|
1,145,043
|
0.70
|
%
|
|||||||
Total Bank Deposits (cost $1,145,035)
|
1,145,043
|
0.70
|
%
|
|||||||
Commercial Paper
|
||||||||||
Australia
|
||||||||||
Financials (cost $1,392,419)
|
1,392,117
|
0.85
|
%
|
|||||||
Canada
|
||||||||||
Financials (cost $599,779)
|
599,772
|
0.37
|
%
|
|||||||
Spain
|
||||||||||
Financials (cost $806,584)
|
806,563
|
0.49
|
%
|
|||||||
Sweden
|
||||||||||
Financials (cost $1,679,537)
|
1,679,728
|
1.02
|
%
|
|||||||
Switzerland
|
||||||||||
Financials (cost $2,223,438)
|
2,223,543
|
1.36
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,547,565
|
0.94
|
%
|
|||||||
Consumer Discretionary
|
9,757,433
|
5.95
|
%
|
|||||||
Consumer Staples
|
1,099,493
|
0.67
|
%
|
|||||||
Financials
|
16,563,388
|
10.11
|
%
|
|||||||
Industrials
|
1,098,672
|
0.67
|
%
|
|||||||
Utilities
|
16,262,810
|
9.93
|
%
|
|||||||
Total United States (cost $46,329,947)
|
46,329,361
|
28.27
|
%
|
|||||||
Total Commercial Paper (cost $53,031,704)
|
53,031,084
|
32.36
|
%
|
|||||||
Corporate Bonds
|
||||||||||
Australia
|
||||||||||
Financials (cost $364,988)
|
366,759
|
0.23
|
%
|
|||||||
Canada
|
||||||||||
Financials
|
2,864,957
|
1.75
|
%
|
|||||||
Industrials
|
915,229
|
0.56
|
%
|
|||||||
Total Canada (cost $3,774,685)
|
3,780,186
|
2.31
|
%
|
|||||||
Germany
|
||||||||||
Consumer Discretionary (cost $2,893,453)
|
2,904,359
|
1.77
|
%
|
|||||||
Japan
|
||||||||||
Financials (cost $980,000)
|
980,181
|
0.60
|
%
|
|||||||
United Kingdom
|
||||||||||
Energy
|
250,061
|
0.15
|
%
|
|||||||
Financials
|
1,886,738
|
1.15
|
%
|
|||||||
Total United Kingdom (cost $2,129,873)
|
2,136,799
|
1.30
|
%
|
|||||||
United States
|
||||||||||
Communications
|
1,434,626
|
0.87
|
%
|
|||||||
Consumer Discretionary
|
7,073,288
|
4.32
|
%
|
|||||||
Consumer Staples
|
2,124,263
|
1.30
|
%
|
|||||||
Energy
|
3,177,393
|
1.94
|
%
|
|||||||
Financials
|
12,781,953
|
7.80
|
%
|
|||||||
Industrials
|
2,931,869
|
1.79
|
%
|
|||||||
Materials
|
481,657
|
0.29
|
%
|
|||||||
Technology
|
2,568,233
|
1.57
|
%
|
|||||||
Utilities
|
1,327,017
|
0.81
|
%
|
|||||||
Total United States (cost $33,819,239)
|
33,900,299
|
20.69
|
%
|
|||||||
Total Corporate Bonds (cost $43,962,238)
|
$ |
44,068,583
|
26.90
|
%
|
See Accompanying Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)
FIXED INCOME SECURITIES
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
|||||||
Government and Agency Obligations
|
||||||||||
United States
|
||||||||||
U.S. Treasury Bills
|
||||||||||
$6,875,000
|
U.S. Treasury Bills * Due 01/02/2020
|
$ |
6,875,000
|
4.20
|
%
|
|||||
$1,850,000
|
U.S. Treasury Bills * Due 01/16/2020
|
1,848,998
|
1.13
|
%
|
||||||
$17,805,000
|
U.S. Treasury Bills * Due 02/13/2020
|
17,774,205
|
10.85
|
%
|
||||||
$12,250,000
|
U.S. Treasury Bills * Due 03/12/2020
|
12,214,330
|
7.45
|
%
|
||||||
Total Government And Agency Obligations (cost $38,708,611)
|
38,712,533
|
23.63
|
%
|
|||||||
Total Fixed Income Securities ** (cost $147,317,185)
|
$
|
147,466,607
|
90.00
|
%
|
SHORT TERM INVESTMENTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $3,076)
|
$
|
3,076
|
0.00
|
%
|
||||
Total Short Term Investments (cost $3,076)
|
$
|
3,076
|
0.00
|
%
|
LONG FUTURES CONTRACTS
Description
|
Fair
Value ($) |
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
61,364
|
0.04
|
%
|
||||
Energy
|
529,188
|
0.32
|
%
|
|||||
Metals
|
1,141,530
|
0.70
|
%
|
|||||
Stock indices
|
128,401
|
0.08
|
%
|
|||||
Short-term interest rates
|
(409,618
|
)
|
(0.25
|
)%
|
||||
Long-term interest rates
|
(2,644,733
|
)
|
(1.62
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(1,193,868
|
)
|
(0.73
|
)%
|
SHORT FUTURES CONTRACTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
(1,529,207
|
)
|
(0.93
|
)%
|
||||
Energy
|
311,400
|
0.19
|
%
|
|||||
Metals
|
(2,366,834
|
)
|
(1.44
|
)%
|
||||
Stock indices
|
42,062
|
0.03
|
%
|
|||||
Short-term interest rates
|
(207
|
)
|
0.00
|
%
|
||||
Long-term interest rates
|
567,801
|
0.35
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
(2,974,985
|
)
|
(1.80
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
(4,168,853
|
)
|
(2.53
|
)%
|
FORWARD CURRENCY CONTRACTS
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
11,794,066
|
7.20
|
%
|
||||
Various short forward currency contracts
|
(13,216,424
|
)
|
(8.07
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(1,422,358
|
)
|
(0.87
|
)%
|
*
|
Pledged as collateral for the trading of futures and forward positions.
|
**
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $28,785,653 deposited with the futures brokers and $9,926,880 deposited with the interbank market makers.
|
See Accompanying
Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
SEPTEMBER 30, 2020 AND DECEMBER 31, 2019 (Unaudited)
September 30, 2020
|
December 31, 2019
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
9,306,489
|
$
|
8,760,955
|
||||
Restricted cash
|
544,944
|
2,311,537
|
||||||
Fixed income securities (cost $19,891,687 and $28,782,516, respectively)
|
19,891,790
|
28,785,653
|
||||||
Net unrealized gain (loss) on open futures contracts
|
2,261,770
|
(4,168,853
|
)
|
|||||
Total equity in futures brokers trading accounts
|
32,004,993
|
35,689,292
|
||||||
Cash and cash equivalents
|
576,627
|
693,006
|
||||||
Cash at interbank market maker
|
7,066,228
|
5,141,739
|
||||||
Restricted cash at interbank market maker
|
11,670,816
|
7,963,188
|
||||||
Cash at swaps broker
|
1,697,625
|
0
|
||||||
Restricted cash at swaps broker
|
4,650,309
|
0
|
||||||
Short term investments (cost $0 and $3,076, respectively)
|
0
|
3,076
|
||||||
Fixed income securities (cost $79,898,410 and $118,534,669, respectively)
|
80,196,153
|
118,680,954
|
||||||
Credit default index swaps (cost $491,806 and $0, respectively)
|
412,214
|
0
|
||||||
Interest rate swaps (cost $281,277 and $0, respectively)
|
451,199
|
0
|
||||||
Due from swaps broker
|
17,877
|
0
|
||||||
Interest receivable
|
141,678
|
284,924
|
||||||
Total assets
|
$
|
138,885,719
|
$
|
168,456,179
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
160,115
|
$
|
245,160
|
||||
Brokerage fee payable
|
804,636
|
972,132
|
||||||
Net unrealized loss on forward currency contracts
|
705,636
|
1,422,358
|
||||||
Accrued commissions and other trading fees on open contracts
|
31,367
|
67,189
|
||||||
Offering costs payable
|
51,076
|
70,313
|
||||||
Redemptions payable
|
2,975,662
|
1,825,504
|
||||||
Total liabilities
|
4,728,492
|
4,602,656
|
||||||
PARTNERS’ CAPITAL (Net Asset Value)
|
||||||||
General Partner - 0.000 and 0.000 redeemable units outstanding at September 30, 2020 and December 31, 2019
|
0
|
0
|
||||||
Limited Partners - 67,365.223 and 74,725.829 redeemable units outstanding at September 30, 2020 and December 31, 2019
|
134,157,227
|
163,853,523
|
||||||
Total partners’ capital (Net Asset Value)
|
134,157,227
|
163,853,523
|
||||||
Total liabilities and partners’ capital (Net Asset Value)
|
$
|
138,885,719
|
$
|
168,456,179
|
See Accompanying Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
(7,166,326
|
)
|
$
|
16,955,842
|
$
|
(15,897,993
|
)
|
$
|
38,453,492
|
||||||
Change in unrealized
|
1,486,490
|
(5,678,297
|
)
|
6,430,623
|
(3,342,066
|
)
|
||||||||||
Brokerage commissions
|
(315,278
|
)
|
(255,366
|
)
|
(855,258
|
)
|
(814,815
|
)
|
||||||||
Net gain (loss) from futures trading
|
(5,995,114
|
)
|
11,022,179
|
(10,322,628
|
)
|
34,296,611
|
||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
(3,501,984
|
)
|
(301,828
|
)
|
3,205,835
|
2,165,363
|
||||||||||
Change in unrealized
|
1,191,188
|
3,034,226
|
716,722
|
(3,130,164
|
)
|
|||||||||||
Brokerage commissions
|
(33,974
|
)
|
(27,151
|
)
|
(82,124
|
)
|
(104,341
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
(2,344,770
|
)
|
2,705,247
|
3,840,433
|
(1,069,142
|
)
|
||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
266,524
|
0
|
266,524
|
0
|
||||||||||||
Change in unrealized
|
90,330
|
0
|
90,330
|
0
|
||||||||||||
Net gain (loss) from swap trading
|
356,854
|
0
|
356,854
|
0
|
||||||||||||
Total net trading gain (loss)
|
(7,983,030
|
)
|
13,727,426
|
(6,125,341
|
)
|
33,227,469
|
||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
234,886
|
1,100,127
|
1,456,025
|
3,408,722
|
||||||||||||
Realized gain (loss) on fixed income securities
|
20,887
|
7,956
|
40,613
|
10,100
|
||||||||||||
Change in unrealized gain (loss) on fixed income securities
|
(49,274
|
)
|
14,438
|
148,424
|
384,407
|
|||||||||||
Total investment income
|
206,499
|
1,122,521
|
1,645,062
|
3,803,229
|
||||||||||||
Expenses
|
||||||||||||||||
Brokerage fee
|
2,517,276
|
3,419,317
|
8,344,240
|
9,903,830
|
||||||||||||
Operating expenses
|
167,555
|
211,580
|
499,566
|
592,987
|
||||||||||||
Total expenses
|
2,684,831
|
3,630,897
|
8,843,806
|
10,496,817
|
||||||||||||
Net investment income (loss)
|
(2,478,332
|
)
|
(2,508,376
|
)
|
(7,198,744
|
)
|
(6,693,588
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
(10,461,362
|
)
|
$
|
11,219,050
|
$
|
(13,324,085
|
)
|
$
|
26,533,881
|
||||||
NET INCOME (LOSS) PER GENERAL AND LIMITED PARTNER UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
$
|
(149.55
|
)
|
$
|
140.31
|
$
|
(184.96
|
)
|
$
|
318.29
|
||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER GENERAL AND LIMITED PARTNER UNIT
|
$
|
(151.64
|
)
|
$
|
135.93
|
$
|
(201.24
|
)
|
$
|
314.81
|
||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
69,953.500
|
79,960.188
|
72,038.345
|
83,364.848
|
See Accompanying
Notes to Financial Statements.
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
Nine Months Ended September 30,
|
||||||||
2020
|
2019
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$ |
(13,324,085 |
) |
$ |
26,533,881 |
|||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
(7,386,099
|
)
|
6,087,823
|
|||||
(Increase) decrease in interest receivable
|
143,246
|
124,643
|
||||||
(Increase) decrease in due from swaps broker
|
(17,877
|
)
|
0
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
(288,363
|
)
|
10,074
|
|||||
Payments for swap contracts
|
(5,579,255
|
)
|
0
|
|||||
Proceeds from swap contracts
|
4,806,172
|
0
|
||||||
Purchases of investments
|
(977,668,498
|
)
|
(1,471,874,920
|
)
|
||||
Sales/maturities of investments
|
1,025,198,662
|
1,472,340,209
|
||||||
Net cash from (for) operating activities
|
25,883,903
|
33,221,710
|
||||||
Cash flows from (for) financing activities
|
||||||||
Redemption of units
|
(14,690,939
|
)
|
(26,096,557
|
)
|
||||
Offering costs paid
|
(550,351
|
)
|
(635,974
|
)
|
||||
Net cash from (for) financing activities
|
(15,241,290
|
)
|
(26,732,531
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
10,642,613
|
6,489,179
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
24,870,425
|
28,167,754
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
35,513,038
|
$
|
34,656,933
|
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the
same such amounts shown in the Statements of Cash Flows.
September 30, 2020
|
December 31, 2019
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
9,306,489
|
$
|
8,760,955
|
||||
Restricted cash
|
544,944
|
2,311,537
|
||||||
Cash and cash equivalents
|
576,627
|
693,006
|
||||||
Cash at interbank market maker
|
7,066,228
|
5,141,739
|
||||||
Restricted cash at interbank market maker
|
11,670,816
|
7,963,188
|
||||||
Cash at swaps broker
|
1,697,625
|
0
|
||||||
Restricted cash at swaps broker
|
4,650,309
|
0
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
35,513,038
|
$
|
24,870,425
|
See Accompanying Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
Partners’ Capital
|
||||||||||||||||||||||||
General Partner
|
Limited Partners
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||
Balances at December 31, 2019
|
0.000
|
$
|
0
|
74,725.829
|
$
|
163,853,523
|
74,725.829
|
$
|
163,853,523
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2020
|
0
|
7,678,859
|
7,678,859
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(2,063.891
|
)
|
(4,780,012
|
)
|
(2,063.891
|
)
|
(4,780,012
|
)
|
||||||||||||||
Offering costs
|
0
|
(206,947
|
)
|
(206,947
|
)
|
|||||||||||||||||||
Balances at March 31, 2020
|
0.000
|
$
|
0
|
72,661.938
|
$
|
166,545,423
|
72,661.938
|
$
|
166,545,423
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2020
|
0
|
(10,541,582
|
)
|
(10,541,582
|
)
|
|||||||||||||||||||
Redemptions
|
0.000
|
0
|
(1,786.399
|
)
|
(3,943,483
|
)
|
(1,786.399
|
)
|
(3,943,483
|
)
|
||||||||||||||
Offering costs
|
0
|
(164,543
|
)
|
(164,543
|
)
|
|||||||||||||||||||
Balances at June 30, 2020
|
0.000
|
$
|
0
|
70,875.539
|
$
|
151,895,815
|
70,875.539
|
$
|
151,895,815
|
|||||||||||||||
Net income (loss) for the three months ended September 30, 2020
|
0
|
(10,461,362
|
)
|
(10,461,362
|
)
|
|||||||||||||||||||
Redemptions
|
0.000
|
0
|
(3,510.316
|
)
|
(7,117,602
|
)
|
(3,510.316
|
)
|
(7,117,602
|
)
|
||||||||||||||
Offering costs
|
0
|
(159,624
|
)
|
(159,624
|
)
|
|||||||||||||||||||
Balances at September 30, 2020
|
0.000
|
$
|
0
|
67,365.223
|
$
|
134,157,227
|
67,365.223
|
$
|
134,157,227
|
|||||||||||||||
Nine Months Ended September 30, 2019
|
||||||||||||||||||||||||
Balances at December 31, 2018
|
0.000
|
$
|
0
|
89,103.635
|
$
|
187,246,042
|
89,103.635
|
$
|
187,246,042
|
|||||||||||||||
Net income (loss) for the three months ended March 31, 2019
|
0
|
6,210,990
|
6,210,990
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(5,132.100
|
)
|
(10,837,698
|
)
|
(5,132.100
|
)
|
(10,837,698
|
)
|
||||||||||||||
Offering costs
|
0
|
(222,791
|
)
|
(222,791
|
)
|
|||||||||||||||||||
Balances at March 31, 2019
|
0.000
|
$
|
0
|
83,971.535
|
$
|
182,396,543
|
83,971.535
|
$
|
182,396,543
|
|||||||||||||||
Net income (loss) for the three months ended June 30, 2019
|
0
|
9,103,841
|
9,103,841
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(3,239.772
|
)
|
(7,190,366
|
)
|
(3,239.772
|
)
|
(7,190,366
|
)
|
||||||||||||||
Offering costs
|
0
|
(215,876
|
)
|
(215,876
|
)
|
|||||||||||||||||||
Balances at June 30, 2019
|
0.000
|
$
|
0
|
80,731.763
|
$
|
184,094,142
|
80,731.763
|
$
|
184,094,142
|
|||||||||||||||
Net income (loss) for the three months ended September 30, 2019
|
0
|
11,219,050
|
11,219,050
|
|||||||||||||||||||||
Redemptions
|
0.000
|
0
|
(2,870.395
|
)
|
(6,976,935
|
)
|
(2,870.395
|
)
|
(6,976,935
|
)
|
||||||||||||||
Offering costs
|
0
|
(203,781
|
)
|
(203,781
|
)
|
|||||||||||||||||||
Balances at September 30, 2019
|
0.000
|
$
|
0
|
77,861.368
|
$
|
188,132,476
|
77,861.368
|
$
|
188,132,476
|
Net Asset Value per General and Limited Partner Unit
|
||||||||||||||
September 30, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
1,991.49
|
$
|
2,143.13
|
$
|
2,292.06
|
$
|
2,192.73
|
September 30, 2019
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
|||||||||||
$
|
2,416.25
|
$
|
2,280.32
|
$
|
2,172.12
|
$
|
2,101.44
|
See Accompanying
Notes to Financial Statements.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2020 and 2019. This information has been derived
from information presented in the financial statements.
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,143.13
|
$
|
2,280.32
|
$
|
2,192.73
|
$
|
2,101.44
|
||||||||
|
||||||||||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
(113.93
|
)
|
169.85
|
(93.94
|
)
|
402.81
|
||||||||||
Net investment income (loss) (1)
|
(35.43
|
)
|
(31.37
|
)
|
(99.93
|
)
|
(80.29
|
)
|
||||||||
Total net income (loss) from operations
|
(149.36
|
)
|
138.48
|
(193.87
|
)
|
322.52
|
||||||||||
Offering costs (1)
|
(2.28
|
)
|
(2.55
|
)
|
(7.37
|
)
|
(7.71
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
1,991.49
|
$
|
2,416.25
|
$
|
1,991.49
|
$
|
2,416.25
|
||||||||
Total Return (4)
|
(7.08
|
)%
|
5.96
|
%
|
(9.18
|
)%
|
14.98
|
%
|
||||||||
|
||||||||||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
7.45
|
%
|
7.61
|
%
|
7.50
|
%
|
7.55
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
7.45
|
%
|
7.61
|
%
|
7.50
|
%
|
7.55
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(6.88
|
)%
|
(5.26
|
)%
|
(6.10
|
)%
|
(4.82
|
)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual partner’s total returns and ratios may vary from the above total returns and ratios based on
the timing of transfers and redemptions.
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the
period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2)
|
Excludes performance fee.
|
(3)
|
Annualized.
|
(4)
|
Not Annualized.
|
See Accompanying
Notes to Financial Statements.
9
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
A. General Description of the Fund
Campbell Strategic Allocation Fund, L.P. (the “Fund”) is a Delaware limited partnership which operates as a commodity investment pool. The Fund engages in the speculative trading of futures contracts,
forward currency contracts, and centrally cleared swap contracts.
Effective January 6, 2012, Units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading,
operations, or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.
B. Regulation
As a registrant with the Securities and Exchange Commission (the “SEC”), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to January 6, 2012, the
Fund was also subject to the regulatory requirements under the Securities Act of 1933. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.)
government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Fund executes
transactions. Additionally, the Fund is subject to the requirements of the futures commission merchants (“futures brokers”), interbank market makers, and centrally cleared swaps broker through which the Fund trades.
C. Method of Reporting
The Fund’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the
Fund’s management. Actual results may differ from these estimates.
These financial statements should be read in conjunction with the financial statements and notes thereto included in the Fund’s Annual Report on Form 10-K filed with the SEC for the year ended
December 31, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.
The Fund meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services
– Investment Companies.
Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency
contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial
Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures
exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot
prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.
The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily
settlement of the derivative instrument itself. Accordingly, the Fund accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying
value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Fund’s consolidated balance sheets is equal to the unsettled fair
value of such instruments.
10
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value
of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair
value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions
and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of
Operations.
The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The
prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities
are amortized and accreted for financial reporting purposes.
The short term investments represent cash held at the custodian and invested overnight in a money market fund.
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.
D. Fair Value
The Fund follows the provisions of ASC 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the
inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement
date.
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest
priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date. An active
market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Fund’s exchange-traded futures
contracts and short term investments fall into this category.
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes
forward currency contracts that the Fund values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Fund uses current market quotations provided by an independent external
pricing source to determine fair value. This category also includes fixed income investments.
Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs
shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30,
2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019, the Fund did not have any Level 3 assets or liabilities.
11
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
The following tables set forth by level within the fair value hierarchy the Fund’s investments accounted for at fair value on a recurring basis
as of September 30, 2020 and December 31, 2019.
Fair Value at September 30, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$
|
0
|
$
|
100,087,943
|
$
|
0
|
$
|
100,087,943
|
||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
2,261,770
|
0
|
0
|
2,261,770
|
||||||||||||
Forward currency contracts
|
0
|
(705,636
|
)
|
0 |
(705,636
|
)
|
||||||||||
Credit default index swap contracts |
0 |
412,214
|
0 |
412,214
|
||||||||||||
Interest rate swap contracts
|
0
|
451,199
|
0
|
451,199
|
||||||||||||
Total
|
$
|
2,261,770
|
$
|
100,245,720
|
$
|
0
|
$
|
102,507,490
|
Fair Value at December 31, 2019
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
3,076
|
$
|
0
|
$
|
0
|
$
|
3,076
|
||||||||
Fixed income securities
|
0
|
147,466,607
|
0
|
147,466,607
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(4,168,853
|
)
|
0
|
0
|
(4,168,853
|
)
|
||||||||||
Forward currency contracts
|
0
|
(1,422,358
|
)
|
0
|
(1,422,358
|
)
|
||||||||||
Total
|
$
|
(4,165,777
|
)
|
$
|
146,044,249
|
$
|
0
|
$
|
141,878,472
|
The gross presentation of the fair value of the Fund’s derivatives by instrument type is shown in Note 11. See Condensed Schedules of Investments for additional detail categorization.
E. Cash and Cash Equivalents
Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
F. Income Taxes
The Fund prepares calendar year U.S. federal and applicable state tax returns and reports to the partners their allocable shares of the Fund’s income, expenses and trading gains or losses. No
provision for income taxes has been made in the accompanying financial statements as each partner is individually responsible for reporting income or loss based on such partner’s respective share of the Fund’s income and expenses as reported for
income tax purposes.
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Fund, and has determined that no reserves for uncertain tax positions were required. There are no tax positions
for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Fund files federal and state tax returns. The 2016 through 2019 tax years generally remain
subject to examination by the U.S. federal and most state tax authorities.
12
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
G. Offering Costs
Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Fund (“offering costs”). In addition, Campbell & Company continues to compensate
wholesalers for services rendered to Limited Partners. The Fund’s liability for offering costs is limited to the maximum of total offering costs incurred by Campbell & Company, not to exceed 2.5% of the aggregate subscriptions accepted
during the initial and continuous offerings. As of September 30, 2020 and December 31, 2019, the Fund has the potential remaining reimbursement amount of approximately $34.2 million and $34.7 million, respectively. If the Fund terminates prior
to completion of payment of the calculated amounts to Campbell & Company, Campbell & Company will not be entitled to any additional payments, and the Fund will have no further obligation to Campbell & Company.
The Fund is only liable for payment of offering costs on a monthly basis as calculated based on the limitations stated above. At September 30, 2020 and December 31, 2019, the amount of unreimbursed
offering costs incurred by Campbell & Company and reflected as a liability in the Statements of Financial Condition for offering costs payable to Campbell & Company is $51,076 and $70,313, respectively. The amount of monthly reimbursement
due to Campbell & Company is charged directly to partners’ capital.
H. Foreign Currency Transactions
The Fund’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar
are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect
during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.
I. Recently Issued Accounting Pronouncements
In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank
Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that
is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income
cannot yet be determined.
In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Fund’s financial statement disclosures.
J. Reclassifications
Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation.
Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market makers on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and
losses in Note 11 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers.
13
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Note 2. GENERAL PARTNER AND COMMODITY TRADING ADVISOR
The general partner of the Fund is Campbell & Company, which conducts and manages the business of the Fund. Campbell & Company is also the commodity trading advisor of the Fund. The Amended
Agreement of Limited Partnership provides that Campbell & Company may make withdrawals of its units, provided that such withdrawals do not reduce Campbell & Company’s aggregate percentage interest in the Fund to less than 1% of the net
aggregate contributions.
Campbell & Company is required by the Amended Agreement of Limited Partnership to maintain a net worth equal to at least 5% of the capital contributed by all the limited partnerships for which it
acts as general partner, including the Fund. The minimum net worth shall in no case be less than $50,000 nor shall net worth in excess of $1,000,000 be required.
The Fund pays a monthly brokerage fee equal to 1/12 of 7% (7% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the futures brokers for execution and
clearing costs. From the 7% fee, a portion (4%) is used to compensate selling agents for ongoing services rendered and a portion (3%) is retained by Campbell & Company for trading and management services rendered. The amount paid to the futures
brokers, interbank market makers, and swaps broker for execution and clearing costs is limited to 1/12 of 1% (1% annualized) of month-end net assets.
Campbell & Company is also paid a quarterly performance fee of 20% of the Fund’s aggregate cumulative appreciation in the Net Asset Value per unit, exclusive of appreciation attributable to
interest income. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark) adjusting
for investment income. In determining the brokerage and performance fees (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The
performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Fund’s bank, futures brokers or cash management
accounts.
Note 3. ADMINISTRATOR AND TRANSFER AGENT
Effective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Fund. The Administrator receives fees at rates agreed upon between the Fund and the Administrator and is entitled to
reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services. Prior to January 1, 2020, Northern Trust Hedge Fund
Services LLC served as the Administrator of the Fund.
NAV Consulting, Inc. serves as the Transfer Agent of the Fund. The Transfer Agent receives fees at rates agreed upon between the Fund and the Transfer Agent and is entitled to reimbursement of certain
actual out-of-pocket expenses incurred while performing its duties.
Note 4. CASH MANAGER AND CUSTODIAN
PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Fund. PNC Capital Advisors, LLC is registered as an
investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.
The Fund opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Fund provided such
investments are consistent with the investment guidelines created by the general partner. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will have no
beneficial or other interest in the securities and cash in such custody account.
14
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Note 5. DEPOSITS WITH FUTURES BROKERS
The Fund deposits assets with UBS Securities LLC and Goldman, Sachs & Co. subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin
requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Fund typically earns interest income on its assets deposited with the futures brokers.
Note 6. DEPOSITS WITH INTERBANK MARKET MAKERS
The Fund’s counterparties with regard to its forward currency transactions are NatWest Markets Plc (“NatWest”) and UBS AG (“UBS”). The Fund has entered into an International Swap and Derivatives
Association, Inc. agreement (“ISDA Agreement”) with NatWest and UBS which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest and UBS were considered investment grade as of September 30, 2020.
Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with NatWest and UBS. The Fund typically earns interest income on its assets deposited with NatWest and UBS.
Note 7. DEPOSITS WITH SWAPS BROKER
The Fund deposits cash with Goldman Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central
counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Fund typically
earns interest on its credit balances and pays interest on debit balances with the swaps broker.
The Fund pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Fund and the swaps broker.
Note 8. OPERATING EXPENSES
Operating expenses of the Fund are limited by the Amended Agreement of Limited Partnership to 0.5% per year of the average month-end Net Asset Value of the Fund. Actual operating expenses were less
than 0.5% (annualized) of average month-end Net Asset Value for the nine months ended September 30, 2020 and 2019.
Note 9. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Fund were made by subscription agreement, subject to acceptance by Campbell & Company.
The Fund is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A limited partner may request and receive redemption of units owned, subject to
restrictions in the Amended Agreement of Limited Partnership. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to
Campbell & Company.
15
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Note 10. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES
Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined
in the applicable derivative contract, occurs. The Fund sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Fund by their maturity for
contracts which are outstanding at September 30, 2020 and December 31, 2019. Notional amounts are disclosed as they represent the maximum potential payout. At September 30, 2020 and December 31,
2019, the fair value of such credit derivative contracts sold was $412,214 and $0, respectively.
September 30, 2020
|
December 31, 2019
|
|||||||
Credit Default Index Swaps
|
Maturity Date:
December 2025
|
Not Applicable
|
||||||
Investment grade
|
$
|
20,456,340
|
$
|
0
|
||||
Non-investment grade
|
$
|
13,476,167
|
$
|
0
|
||||
Total
|
$
|
33,932,507
|
$
|
0
|
The Fund does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal
right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of
contracts.
Note 11. TRADING ACTIVITIES AND RELATED RISKS
The Fund engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Fund
trades a portfolio focused on futures, forward, credit default swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture
values, and credit risks. The Fund is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
In February 2020, the Fund transferred all futures contracts held with UBS Securities LLC to Goldman, Sachs & Co., and all forward currency contracts held with UBS to NatWest. Goldman, Sachs &
Co and NatWest serve as the sole futures broker and interbank market maker, respectively, for the Fund’s ongoing trading. In July 2020, the Fund began trading centrally cleared swap contracts.
Market Risk
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its
earnings and cash flow. The Fund’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the
diversification effects among the Fund’s open positions and the liquidity of the markets in which it trades. Theoretically, the Fund is exposed to a market risk equal to the notional contract value of futures and forward currency contracts
purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a
purchaser of credit default swaps, the Fund’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Fund to a market risk equal to the notional value of
such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Fund determines its valuation for derivatives as well as the netting of derivatives.
The Fund adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative
instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.
16
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
The following tables summarize quantitative information required by ASC 815. The fair value of the Fund’s derivatives by instrument type, as well as the location of those instruments on the
Statements of Financial Condition, as of September 30, 2020 and December 31, 2019 is as follows:
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
September 30, 2020
Fair Value
|
Liability
Derivatives at
September 30, 2020
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
791,997
|
$
|
(180,405
|
)
|
$
|
611,592
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
893,450
|
(51,791
|
)
|
841,659
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,046,401
|
(1,497,746
|
)
|
548,655
|
|||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
397,537
|
(736,840
|
)
|
(339,303
|
)
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
88,205
|
(17,379
|
)
|
70,826
|
|||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
800,888
|
(272,547
|
)
|
528,341
|
|||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
6,967,462
|
(7,673,098
|
)
|
(705,636
|
)
|
||||||||
Credit Default Index Swap Contracts
|
Credit default index swaps
|
785,077
|
(372,863
|
)
|
412,214
|
|||||||||
Interest Rate Swap Contracts
|
Interest rate swaps
|
536,868
|
(85,669
|
)
|
451,199
|
|||||||||
Totals
|
$
|
13,307,885
|
$
|
(10,888,338
|
)
|
$
|
2,419,547
|
* |
Derivatives not designated as hedging instruments under ASC 815
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2019
Fair Value
|
Liability
Derivatives at
December 31, 2019
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
100,996
|
$
|
(1,568,839
|
)
|
$
|
(1,467,843
|
)
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
976,245
|
(135,657
|
)
|
840,588
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,891,613
|
(4,116,917
|
)
|
(1,225,304
|
)
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
780,153
|
(609,690
|
)
|
170,463
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
168,765
|
(578,590
|
)
|
(409,825
|
)
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
768,719
|
(2,845,651
|
)
|
(2,076,932
|
)
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
12,443,080
|
(13,865,438
|
)
|
(1,422,358
|
)
|
||||||||
Totals
|
$
|
18,129,571
|
$
|
(23,720,782
|
)
|
$
|
(5,591,211
|
)
|
* |
Derivatives not designated as hedging instruments under ASC 815
|
17
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
The trading gains and losses of the Fund’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months
ended September 30, 2020 and 2019 is as follows:
Type of Instrument
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2019
|
||||||
Agriculture Contracts
|
$
|
(3,073,722
|
)
|
$
|
2,124,808
|
|||
Energy Contracts
|
(1,513,552
|
)
|
(1,818,401
|
)
|
||||
Metal Contracts
|
3,955,446
|
401,967
|
||||||
Stock Indices Contracts
|
(3,577,912
|
)
|
2,882,175
|
|||||
Short-Term Interest Rate Contracts
|
(25,885
|
)
|
(95,220
|
)
|
||||
Long-Term Interest Rate Contracts
|
(1,444,211
|
)
|
7,782,216
|
|||||
Forward Currency Contracts
|
(2,310,796
|
)
|
2,732,398
|
|||||
Credit Default Index Swap Contracts
|
80,147
|
0
|
||||||
Interest Rate Swap Contracts
|
276,707
|
0
|
||||||
Total
|
$
|
(7,633,778
|
)
|
$
|
14,009,943
|
Type of Instrument
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2019
|
||||||
Agriculture Contracts
|
$
|
(2,898,476
|
)
|
$
|
(268,701
|
)
|
||
Energy Contracts
|
2,928,834
|
(3,919,817
|
)
|
|||||
Metal Contracts
|
7,742,156
|
(2,319,442
|
)
|
|||||
Stock Indices Contracts
|
(26,754,257
|
)
|
12,922,892
|
|||||
Short-Term Interest Rate Contracts
|
8,422,469
|
8,730,474
|
||||||
Long-Term Interest Rate Contracts
|
1,091,904
|
19,966,020
|
||||||
Forward Currency Contracts
|
3,922,557
|
(964,801
|
)
|
|||||
Credit Default Index Swap Contracts
|
80,147
|
0
|
||||||
Interest Rate Swap Contracts
|
276,707
|
0
|
||||||
Total
|
$
|
(5,187,959
|
)
|
$
|
34,146,625
|
18
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2019
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
(7,166,326
|
)
|
$
|
16,955,842
|
|||
Change in unrealized
|
1,486,490
|
(5,678,297
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
(3,501,984
|
)
|
(301,828
|
)
|
||||
Change in unrealized
|
1,191,188
|
3,034,226
|
||||||
Swap trading gains (losses):
|
||||||||
Realized
|
266,524
|
0
|
||||||
Change in unrealized
|
90,330
|
0
|
||||||
Total
|
$
|
(7,633,778
|
)
|
$
|
14,009,943
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2019
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
(15,897,993
|
)
|
$
|
38,453,492
|
|||
Change in unrealized
|
6,430,623
|
(3,342,066
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
3,205,835
|
2,165,363
|
||||||
Change in unrealized
|
716,722
|
(3,130,164
|
)
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
266,524
|
0
|
||||||
Change in unrealized
|
90,330
|
0
|
||||||
Total
|
$
|
(5,187,959
|
)
|
$
|
34,146,625
|
** |
For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $5,148 and $(58,728),
respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $593,508 and $549,760, respectively.
|
*** |
For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $126,152 and $90,585, respectively,
and gains/(losses) on spot trades in connection with forward currency trading at the interbank market makers of $(204,238) and $591,152, respectively.
|
For the three months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 29,800 and 25,100, respectively; the monthly average of notional
value of centrally cleared swap contracts was approximately $269,300,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $1,246,900,000 and $1,597,300,000, respectively.
For the nine months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 26,800 and 25,800, respectively; the monthly average of notional value
of centrally cleared swap contracts was approximately $269,300,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $1,120,000,000 and $1,862,700,000, respectively.
19
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Open contracts generally mature within three months; as of September 30, 2020, the latest maturity date for open futures contracts is December 2021 and the latest maturity date for open forward
currency contracts is December 2020. However, the Fund intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2025.
Credit Risk
The Fund trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional
deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A
customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation
requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property
deposited.
The Fund trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.
The Fund has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Fund’s assets on deposit may be limited to account insurance or
other protection afforded such deposits.
The Fund has entered into ISDA Agreements with UBS AG and NatWest. Under the terms of each ISDA Agreement, upon the designation of an Event of Default, as defined in each ISDA Agreement, the
non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the
non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.
Under the terms of each master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Fund, as defined in respective account documents, UBS Securities and Goldman have
the right to close out any or all open contracts held in the Fund’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Fund’s account. The Fund would be liable for any deficiency
in its account resulting from such transactions.
The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities
held to satisfy such requirements at September 30, 2020 and December 31, 2019 was $19,891,790 and $38,712,533, respectively, which equals approximately 15% and 24% of Net Asset Value, respectively. Included in cash deposits with the futures
brokers, swaps broker and interbank market makers at September 30, 2020 and December 31, 2019 was restricted cash for margin requirements of $16,866,069 and $10,274,725, respectively, which equals approximately 13% and 6% of Net Asset Value,
respectively.
20
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and
transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral
tables is limited to the net amount of unrealized 1oss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the
collateral tables.
Offsetting of Derivative Assets by Counterparty
|
||||||||||||||
As of September 30, 2020
|
||||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
Goldman Sachs & Co.
|
$
|
5,018,478
|
$
|
(2,756,708
|
)
|
$
|
2,261,770
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
6,967,462
|
(6,967,462
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
1,321,945
|
(458,532
|
)
|
863,413
|
|||||||||
Total derivatives
|
$
|
13,307,885
|
$
|
(10,182,702
|
)
|
$
|
3,125,183
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of September 30, 2020
|
||||||||||||||||
Counterparty
|
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
Net Amount
|
|||||||||||||
Financial
Instruments
|
Cash Collateral
Received
|
|||||||||||||||
Goldman Sachs
|
$
|
2,261,770
|
$
|
0
|
$
|
0
|
$
|
2,261,770
|
||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
863,413
|
0
|
0
|
863,413
|
||||||||||||
Total
|
$
|
3,125,183
|
$
|
0
|
$
|
0
|
$
|
3,125,183
|
Offsetting of Derivative Liabilities by Counterparty
|
||||||||||||||
As of September 30, 2020
|
||||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
Goldman Sachs & Co.
|
$
|
2,756,708
|
$
|
(2,756,708
|
)
|
$
|
0
|
||||||
Forward currency contracts
|
NatWest Markets Plc
|
7,673,098
|
(6,967,462
|
)
|
705,636
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
458,532
|
(458,532
|
)
|
0
|
|||||||||
Total derivatives
|
$
|
10,888,338
|
$
|
(10,182,702
|
)
|
$
|
705,636
|
21
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of September 30, 2020
|
||||||||||||||||
Counterparty
|
Net Amounts of
Unrealized Loss
in the Statements of
Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
Net Amount
|
|||||||||||||
Financial
Instruments
|
Cash Collateral
Pledged
|
|||||||||||||||
Goldman Sachs & Co.
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
NatWest Markets Plc
|
705,636
|
0
|
(705,636
|
)
|
0
|
|||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
705,636
|
$
|
0
|
$
|
(705,636
|
)
|
$
|
0
|
Offsetting of Derivative Assets by Counterparty
|
||||||||||||||
As of December 31, 2019
|
||||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized
Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
2,834,912
|
$
|
(2,834,912
|
)
|
$
|
0
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
2,851,579
|
(2,851,579
|
)
|
0
|
|||||||||
Total futures contracts
|
5,686,491
|
(5,686,491
|
)
|
0
|
||||||||||
Forward currency contracts
|
UBS AG
|
6,221,540
|
(6,221,540
|
)
|
0
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
6,221,540
|
(6,221,540
|
)
|
0
|
|||||||||
Total forward currency contracts
|
12,443,080
|
(12,443,080
|
)
|
0
|
||||||||||
Total derivatives
|
$
|
18,129,571
|
$
|
(18,129,571
|
)
|
$
|
0
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
Counterparty
|
|
Net Amounts of
Unrealized Gain
in the Statements of
Financial Condition
|
|
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|
Net Amount
|
||||||||
Financial
Instruments
|
Cash Collateral
Received
|
|||||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs & Co.
|
0
|
0
|
0
|
0
|
||||||||||||
UBS AG
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
22
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Offsetting of Derivative Liabilities by Counterparty
|
||||||||||||||
As of December 31, 2019
|
||||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
4,929,967
|
$
|
(2,834,912
|
)
|
$
|
2,095,055
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
4,925,377
|
(2,851,579
|
)
|
2,073,798
|
|||||||||
Total futures contracts
|
9,855,344
|
(5,686,491
|
)
|
4,168,853
|
||||||||||
Forward currency contracts
|
UBS AG
|
6,932,719
|
(6,221,540
|
)
|
711,179
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
6,932,719
|
(6,221,540
|
)
|
711,179
|
|||||||||
Total forward currency contracts
|
13,865,438
|
(12,443,080
|
)
|
1,422,358
|
||||||||||
Total derivatives
|
$
|
23,720,782
|
$
|
(18,129,571
|
)
|
$
|
5,591,211
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
Counterparty
|
Net Amounts of
Unrealized Loss
in the Statements of
Financial Condition
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
Net Amount
|
|||||||||||||
Financial
Instruments
|
Cash Collateral
Pledged
|
|||||||||||||||
UBS Securities LLC
|
$
|
2,095,055
|
$
|
0
|
$
|
(2,095,055
|
)
|
$
|
0
|
|||||||
Goldman Sachs & Co.
|
2,073,798
|
0
|
(2,073,798
|
)
|
0
|
|||||||||||
UBS AG
|
711,179
|
(711,179
|
)*
|
0
|
0
|
|||||||||||
NatWest Markets Plc
|
711,179
|
0
|
(711,179
|
)
|
0
|
|||||||||||
Total
|
$
|
5,591,211
|
$
|
(711,179
|
)
|
$
|
(4,880,032
|
)
|
$
|
0
|
* |
Represents a portion of the $9,926,880 fair value in U.S. Treasury Bills held at the interbank market makers.
|
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell
& Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage
the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of
assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response
to trading losses. Campbell & Company controls the risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Fund’s assets at financial institutions and brokers which Campbell & Company believes to be credit
worthy. The limited partners bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
23
CAMPBELL STRATEGIC ALLOCATION FUND, L.P. NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 (Unaudited) |
Note 12. INDEMNIFICATIONS
In the normal course of business, the Fund enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Fund’s maximum
exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. The Fund expects the risk of any future obligation under these indemnifications to be remote.
Note 13. INTERIM FINANCIAL STATEMENTS
The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the
three months and nine months ended September 30, 2020 and 2019, and the Statements of Cash Flows and Changes in Partners’ Capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019 are unaudited. In the opinion of management,
such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2020 and December 31, 2019, the results of operations and financial
highlights for the three months and nine months ended September 30, 2020 and 2019, and cash flows and changes in partners’ capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019.
Note 14. SUBSEQUENT EVENTS
Management of the Fund has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.
Introduction
The offering of its Units of Limited Partnership Interest commenced on January 12, 1994. The initial offering terminated on April 15, 1994 and the Fund commenced operations on April 18, 1994. The
continuing offering period commenced at the termination of the initial offering period and terminated on January 6, 2012.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates
utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Fund’s significant accounting policies are described in detail in Note 1 of the Financial Statements.
The Fund records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gains (losses) in the
Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are
traded in the inter-bank market).
Capital Resources
Effective January 6, 2012, units in the Fund were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There will be no change in trading,
operations or monthly statements, etc., and redemptions will continue to be offered on a monthly basis.
The Fund does not intend to raise any capital through borrowing. Due to the nature of the Fund’s business, it will make no capital expenditures and will have no capital assets, which are not operating
capital or assets.
The Fund generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for
trading. These funds are available to meet redemptions each month. After redemptions are taken into account each month, the trade level of the Fund is adjusted and positions in the instruments the Fund trades are liquidated, if necessary, on a
pro-rata basis to meet those increases or decreases in trade levels.
Liquidity
Most United States commodity exchanges limit fluctuations in the prices of futures contracts during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During
a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have
occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Fund from promptly liquidating unfavorable positions and subject the Fund to substantial losses which could exceed the
margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Fund may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than
these limitations on liquidity, which are inherent in the Fund’s futures trading operations, the Fund’s assets are expected to be highly liquid.
The entire offering proceeds, without deductions, were credited to the Fund’s bank, custodial and/or cash management accounts. The Fund meets margin requirements for its trading activities by depositing
cash or U.S. government securities with the futures brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Fund receives all interest earned on its assets. No other
person shall receive any interest or other economic benefits from the deposit of Fund assets.
Approximately 10% to 30% of the Fund’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such
assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Fund’s assets are deposited with
over-the-counter counterparties or centrally cleared in order to initiate and maintain forward or swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter
counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.
The general partner deposits the majority of those assets of the Fund that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account
with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Fund’s assets and are invested directly by PNC Capital Advisors,
LLC (“PNC”). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. PNC invests the assets according
to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. government, agency, or municipal
securities; (ii) banker acceptances or certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset backed securities.
The Fund occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets
held in the custody accounts at Northern Trust Company to the margin accounts. In the past three years, the Fund has not needed to liquidate any position as a result of a margin call.
The Fund’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any
affiliated entities.
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Fund trades in
futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Fund, market risk, that such contracts may be
significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Fund at the same time, and if the
Fund’s trading advisor was unable to offset futures interests positions of the Fund, the Fund could lose all of its assets and the Limited Partners would realize a 100% loss. Campbell & Company, the general partner (who also acts as trading
advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk
of loss.
In addition to market risk, in entering into futures, forward, and swap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Fund. The counterparty for
futures contracts and centrally cleared swap contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse
who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some
foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of
financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Fund only with those counterparties which it believes to be creditworthy. All positions of the Fund are valued each day at fair value.
There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Fund.
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value
The Fund invests in futures, forward currency, and centrally cleared swap contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects
the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.)
of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.
Results of Operations
The returns for the nine months ended September 30, 2020 and 2019 were (9.18)% and 14.98%, respectively. During the nine months ended September 30, 2020 and 2019, the Fund accrued brokerage fees in the
amount of $8,344,240 and $9,903,830, respectively, and paid brokerage fees in the amount of $8,511,736 and $9,905,034, respectively. No performance fees were accrued or paid during these periods.
2020 (For the Nine Months Ended September 30)
Of the (9.18)% year to date return, approximately (3.67)% was due to trading losses (before commissions) and approximately (6.56)% was due to brokerage fees, operating expenses and offering costs borne
by the Fund, offset by approximately 1.05% due to investment income. An analysis of the (3.67)% trading losses by sector is as follows:
Sector
|
% Gain (Loss)
|
|||
Credit
|
0.12
|
%
|
||
Commodities
|
4.56
|
%
|
||
Currencies
|
2.01
|
%
|
||
Interest Rates
|
5.10
|
%
|
||
Stock Indices
|
(15.46
|
)%
|
||
(3.67
|
)%
|
The Fund had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia,
Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated
by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Fund in January, with the energy sub-sector realizing the best results. Short positioning on natural gas
proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its
negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short
positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus
outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for
the Fund during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than
expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.
Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Fund, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the
United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and
expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US
dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy,
sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19
outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for
the Fund during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock
indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes
sharply lower.
The Fund had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global
stock index trading produced the largest losses for the Fund, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp
sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global
central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated
instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long
positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was
sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the
decision to ramp up production. Commodity holdings produced additional profits for the Fund during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is
widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.
The Fund’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of
the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries. Interest rate positions from long-dated
instruments contributed additional losses to the portfolio. Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions. Short
German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions
seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth. The Fund held a mixture of long and
short positioning across global stock indexes during the month. Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector. Commodity holdings produced
additional partially offsetting profits for the Fund during the month. Short positioning on the petroleum complex produced a bulk of the sector’s profits. Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced
demand destruction linked with a shortage of available storage capacity. The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical
delivery given the scarcity of demand and lack of available storage space.
Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity
currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly. Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew
that the worst of the COVID-19 crisis was over. A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings
produced additional losses for the Fund during the month. Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis. A long holding on precious metals,
specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices
continued to bounce higher from the March COVID-19 crisis lows. Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism. A long position on the Hong Kong Hang Seng index added to sector losses
as that market was one of the few global indexes to sell-off during May. China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off.
Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Fund in May. A short position on the German 10-year note was one of the most profitable markets in the sector. The German Bund sold-off
during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.
Foreign exchange trading in both the emerging and developed markets produced losses for the Fund during June. The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American
currencies. These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June. The investor exuberance over additional government
stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery
in economic growth bolstered prices. Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates. Within the energy sub-sector, a short
natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Fund held a mix of long and short positions
across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe. Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more
stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month. The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen
and benefited our short positioning on longer-dated Japanese government bonds.
July saw losses for the Fund, driven primarily from stock index holdings and foreign exchange trading in the emerging and developed markets. The United States’ inability to get the COVID-19 virus under control in the
face of other nations of the world seemingly better able to handle the crisis generated concern that US economic growth would lag other countries, leading the FOMC to keep highly accommodative monetary easing in place longer. This dichotomy weakened
the US dollar to two-year lows hurting the Fund’s long US dollar positioning against many other currencies. Stock index trading also generated losses for the Fund during July. Long positioning, primarily in Asia-Pacific and Europe, produced the bulk
of the sector’s decline. Late in the month both the Asia-Pacific and European regions began to see an uptick in COVID-19 virus cases. Regional governments were quick to discuss the possibility of once again needing to shutdown economies to halt the
spread which led to rapid risk-off sentiment in equity markets leading to lower prices. Commodity trading generated the best partially offsetting profits for the Fund. Long positioning on silver and gold proved profitable as both metals showed strong
monthly gains. The aforementioned drivers of US dollar weakness were the primary cause of precious metal subsector gains. Some partially offsetting losses came from the grain and energy subsectors. Short grain holdings generated losses as the grain
complex rallied during the month on poor crop conditions in the US Plains. Short positioning on natural gas suffered as high summer electric demand in the US sparked high price volatility that the systematic models failed to trade profitably.
Interest rate positions from both short-dated and long-dated instruments also contributed gains during July. Long positioning on fixed income instruments profited as prices rose (yields fell) amid US/Chinese geopolitical tensions and as high
uncertainty over the course of the COVID-19 crisis led to demand for safe haven assets.
Interest rate positions from both short-dated and long-dated instruments contributed some of the largest losses for the Fund during August. Long positioning on a variety of global fixed income instruments suffered as
prices fell (yields rose). The COVID-19 crisis and related emergency fiscal spending has created the need for many governments around the world to finance this spending with new and, in some cases, record levels of debt issuance. That issuance put
downward pressure on most global sovereign bond instruments which created losses for the Fund. Commodity trading also experienced sizeable losses for the Fund. A short position on natural gas generated large losses as that commodity rose over 30%
during the month. Hot temperatures across the United States drove demand for natural gas for electricity generation to power air conditioning while inventory data showed storage at lower than expected levels. Some partially offsetting gains were
experienced in long industrial metals positioning. Longs on copper and nickel profited as prices rose amid signs of a global supply shortage in the face of rising demand from countries such as China. Stock index trading generated partially offsetting
gains for the Fund during August. Long positioning, especially in the United States, Canada, Japan, and Germany, produced profits as indexes in those countries experienced strong gains. A lessening of COVID-19 infections, signs that some governments
were less willing to renew economic shutdowns to manage the virus crisis, and ongoing monetary and fiscal stimulus actions were all supportive of global stocks during the month. Lastly, foreign exchange trading contributed small additional gains
during the month. Losses in emerging FX markets were more than offset by gains in developed FX positions, leading to a net profit within the asset class.
The Fund showed a loss in September, with interest rate positions from long-dated securities once again contributing some of the largest Fund profits during September. Long positioning on a variety of global fixed
income instruments gained as prices rose (yields fell). September had a pronounced risk-off tone that benefitted fixed income holdings due to their attractive safe haven qualities. Overbought conditions in US tech stocks, a lack of progress on
another US fiscal stimulus package, some signs that the global economic recovery was stalling, US Presidential election uncertainty, and signs that a new wave of COVID-19 cases was emerging in a variety of regions around the globe all led to the
general risk-off malaise. Commodity trading also added gains for the Fund. A short position on natural gas generated profits as that market fell over 10% during the month. Swelling inventories linked with cooler temperatures in much of the United
States were the catalyst to lower natural gas prices. A short position on gasoil also proved profitable amid anemic demand as the COVID-19 pandemic crimped diesel fuel purchases. Some partially offsetting losses were experienced in long industrial
metal and long grain holdings. Prices in these two subsectors were depressed during the month by a strengthening US dollar on flight to safety buying. Foreign exchange trading contributed small losses during the month. Gains in emerging FX markets
were more than offset by losses in developed FX positions, leading to a small net loss within the asset class. Stock index trading generated the largest losses for the Fund during September. Long positioning, especially in Europe, Australia, the UK,
and Canada, produced losses as indexes in those countries declined amid the risk-off environment that dominated the month. Fresh virus outbreaks in the UK and Europe linked with concerns that the UK and the European Union were headed for a “no deal”
Brexit weighed on equities in those countries. Falling commodity markets due to US dollar strength and concern over global growth prospects depressed equities in Australia and Canada.
2019 (For the Nine Months Ended September 30)
Of the 14.98% year to date return, approximately 19.44% was due to trading gains (before commissions) and approximately 2.05% due to investment income, offset by approximately (6.51)% due
to brokerage fees, operating expenses and offering costs borne by the Fund. An analysis of the 14.98% trading gains by sector is as follows:
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(3.36
|
)%
|
||
Currencies
|
(0.72
|
)%
|
||
Interest Rates
|
16.37
|
%
|
||
Stock Indices
|
7.15
|
%
|
||
19.44
|
%
|
The Fund, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced
partially offsetting gains for the Fund. Commodity trading generated losses for the Fund in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in
risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange
positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with
the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum
complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank
rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their
December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Fund positioning in time to capitalize on
rallying equity markets, especially in the Hang Seng index.
The Fund showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact
on the Fund during the month. Commodity trading generated profits for the Fund in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year
improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came
from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on
European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40
producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated
instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the
UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to
negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector
gains.
The Fund showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Fund.
Interest rate positions in long- and short-dated instruments spearheaded Fund gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in
bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate
increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the
first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish
central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Fund
started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed
results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Fund, primarily from a long palladium position.
After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a
bearish USDA grain report.
The Fund showed a profit in April, with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index
positions produced the best Fund gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish
statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated
profits for the Fund in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week
low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting
losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing
inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill)
contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union diminished. In the foreign exchange
sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly
losses within the EM FX sector.
The Fund showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index
positions produced the largest Fund losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those
losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading
also generated losses for the Fund in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports
painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose
to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best
performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May
stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the
Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso
proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.
The Fund showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index
positions produced the largest Fund profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to
slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest
rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early
in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might
be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and
actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some
small losses for the Fund in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit
near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.
The Fund showed a profit in July with interest rate positions from long-dated instruments providing the best gains during the month. Long positioning, especially in Europe and Australia, benefited from mounting global
growth concerns, escalating fears over a “hard” UK Brexit from the EU, and ongoing uncertainty over the US/Chinese trade war. This confluence of headwinds worked to keep major global central banks in accommodation mode which has been supportive of
most global bond markets (higher prices and lower interest rates). Most notably, the US FOMC cut interest rates on the last day of the month and the European Central Bank has given clear indications that it expects to provide new stimulus in
September. In the foreign exchange sector, gains were generated in the developed market currencies. Short positions on the euro, Swedish krona, British pound, and Norwegian krone (all long against the US dollar) provided some of the best profits. US
economic data has proven to be more resilient than many other regions of the globe to the benefit of the dollar. Concerns over a “hard” Brexit in the UK increased after hardliner Boris Johnson was elected as Prime Minister. The pound was the worst
performing G10 currency (against the US dollar) during the month. Stock index positions produced additional Fund profits. Long positions in the United Kingdom and Australia were two of the most profitable positions in the sector during July. Stocks
in both export-heavy countries rallied strongly as falling currency values in their respective countries fueled gains in companies linked to export activity. Commodity trading also provided some gains for the Fund in July. Short positioning on the
grains and softs sub-sectors benefitted from the stronger US dollar and some improving growing conditions. Long positioning on gold and silver profited from flight-to-safety flows amid heightened global uncertainty. Some partially offsetting losses
were experience in the industrial metals sub-sector as choppy price action during the month proved challenging.
The Fund showed a profit in August, with interest rate positions from long-dated and short-dated instruments provided the best gains during August. Long positioning, especially in Europe, Australia, Japan, and the US
benefited from an escalation of trade tensions between the US and China which heightened global growth concerns. Global bond yields sank sharply as safe-haven demand drove bond prices higher. In addition to the above-mentioned growth concerns,
markets had plenty to fret about including a growing likelihood of a no-date (aka “hard”) UK Brexit from the EU, civil unrest in Hong Kong, and an inverted US yield curve which could be signaling a looming US recession. Commodity trading also
provided some gains for the Fund during the month. Short holdings on grains and softs were two of the best performing sub-sectors. Corn futures sank in value after US government reports sparked concerns about oversupply. Cotton prices fell amid the
widening trade war which dampened demand expectations. Some partially offsetting losses were experienced in the energy sub-sector as choppy price action proved challenging for our trading systems to profitably navigate. Stock index positions
contributed losses to the portfolio during August. Long positions in the UK and Australia were two of the biggest losing positions within the sector. Global stocks mostly dropped during the month amid the expanding trade war and generally weaker
than expected economic data outside the US. A short position on the Hong Kong Hang Seng index provided some partially offsetting gains as civil unrest and threats of Chinese intervention unnerved investors which helped our bearish position. In the foreign exchange sector, losses from the emerging markets (EM) overwhelmed gains from the developed markets. Long positioning on EM currencies, such as the Brazilian real and South African rand, suffered after a
landslide result from the Argentinian primary election. A possible return to left-wing populism sparked a sharp sell-off in the Argentine peso and the fear quickly spilled over into other EM currencies.
The Fund showed a loss in September, with losses coming from interest rate and commodity positions, while stock index holdings produced some partially offsetting gains for the portfolio. Foreign exchange holdings had
little impact on the portfolio during the month. Interest rate positions from both short-dated and long-dated instruments provided losses during September. Long positioning, especially in Australia and Europe, contributed the largest losses to the
sector as progress on the US-Chinese trade talks overshadowed the US political situation. European fixed income markets took an additional leg lower after the ECB’s hawkish rate cut and commentary which emphasized fiscal policy over additional
monetary stimulus. Partially offsetting those losses were gains from short positions on the US 10 year and 30 year Treasury bonds. Commodity trading produced additional losses for the portfolio during the month. Short positioning in some energy
markets suffered after the petroleum complex initially spiked higher following the September 14th rebel attacks on a Saudi Arabian oil field and processing facility. In
the softs, a short sugar holding incurred losses as the commodity was boosted by signs of tightening supplies. Additional losses were produced from our short grain holdings. The grain markets rose as potential purchases of US agricultural goods by
China were said to be in focus in discussions between the countries’ trade representatives. Foreign exchange positions had little net P&L impact to the portfolio during September. Gains in our emerging market positions were overwhelmed by a
short position on the Australian dollar. The Aussie currency moved higher on back of the improvements in US-Chinese trade talks and the Australian central bank pausing their monetary policy easing measures. Long global stock positioning provided the
portfolio with some partially offsetting gains. Stock indexes closed higher in September but ebbed and flowed throughout the month as the markets focused on better US-Chinese trade headlines, improving US macro data, geopolitical concerns, and
expectations for more central bank policy support. The best monthly stock index gains were found in Europe.
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Fund is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Fund’s assets are subject to
the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Fund’s main line of business.
Market movements result in frequent changes in the fair value of the Fund’s open positions and, consequently, in its earnings and cash flow. The Fund’s market risk is influenced by a wide variety of
factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Fund’s open positions and the liquidity of the markets
in which it trades.
The Fund rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will
affect performance, and the Fund’s past performance is not necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by
such movements, taking into account the leverage and multiplier features of the Fund’s market sensitive instruments.
Quantifying the Fund’s Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Fund’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability
provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting
period).
The Fund’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Fund estimates VaR using a model based upon historical simulation (with a confidence level
of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign
exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Fund’s VaR at a
one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case
outcome.
The Fund uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability
distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the
VaR of the Fund’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
The Fund’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based
instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
VaR models, including the Fund’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to
numerically quantify market risk for historic reporting purposes only and is not utilized by the Fund in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by
other entities.
Because the business of the Fund is the speculative trading of futures, forwards, and swaps, the composition of the Fund’s trading portfolio can change significantly over any given time period, or even
within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
The Fund’s Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Fund’s open positions by market category as of September 30, 2020 and December 31, 2019 and the trading gains/losses by market
category for the nine months ended September 30, 2020 and the year ended December 31, 2019.
September 30, 2020
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.09
|
%
|
0.12
|
%
|
||||
Commodities
|
0.96
|
%
|
4.56
|
%
|
||||
Currencies
|
0.47
|
%
|
2.01
|
%
|
||||
Interest Rates
|
0.78
|
%
|
5.10
|
%
|
||||
Stock Indices
|
0.64
|
%
|
(15.46
|
%
|
||||
Aggregate/Total
|
1.28
|
%
|
(3.67
|
)%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the
sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Of the (9.18)% year to date return, approximately (3.67)% was due to trading losses (before commissions) and approximately (6.56)% was due to brokerage fees, operating expenses and offering costs borne by the Fund,
offset by approximately 1.05% due to investment income.
|
December 31, 2019
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.51
|
%
|
(8.27
|
)%
|
||||
Currencies
|
0.60
|
%
|
(3.68
|
)%
|
||||
Interest Rates
|
0.61
|
%
|
12.74
|
%
|
||||
Stock Indices
|
0.71
|
%
|
9.63
|
%
|
||||
Aggregate/Total
|
1.19
|
%
|
10.42
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Fund’s open positions across all market sectors, and is less than the
sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Of the 4.34% return for the year ended December 31, 2019, approximately 10.42% was due trading gains (before commissions) and approximately 2.60% due to investment income, offset by approximately (8.68)% due to
brokerage fees, operating expenses and offering costs borne by the Fund.
|
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
VaR is not necessarily representative of historic risk nor should it be used to predict the Fund’s future financial performance or its ability to manage and monitor risk. There can be no assurance that
the Fund’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Fund has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Fund also has non-trading
market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the brokers and over-the-counter counterparties. The market risk represented by these investments is minimal. Finally, the Fund has non-trading
market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund
as a result of such management.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Fund’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions
of how the Fund manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Fund’s primary market risk exposures as well
as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Fund’s risk controls to differ
materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of
new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Fund. There can be no assurance that the Fund’s
current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in
the Fund.
The following were the primary trading risk exposures of the Fund as of September 30, 2020, by market sector.
Currencies
The Fund’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Fund trades in a large number of currencies, including cross-rates — i.e., positions between two
currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Fund’s currency sector will change significantly in the future.
Interest Rates
Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Fund and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Fund’s profitability. Campbell & Company does not anticipate that the risk profile of the Fund’s interest rate sector will
change significantly in the future.
Stock Indices
The Fund’s primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index
futures traded by the Fund are by law limited to futures on broadly based indices. The Fund is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow
range could result in the Fund’s positions being “whipsawed” into numerous small losses.
Credit
The Fund’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.
Energy
The Fund’s primary energy market exposure is to natural gas, crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the
Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Metals
The Fund’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.
Agricultural
The Fund’s agricultural exposure is to the fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar, and wheat.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the non-trading risk exposures of the Fund as of September 30, 2020.
Foreign Currency Balances
The Fund’s primary foreign currency balances are in Australian Dollar, British Pound, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The
Fund controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).
Fixed Income Securities and Short Term Investments
The Fund’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC,
has authority to make certain investments on behalf of the Fund. All securities purchased by the cash manager on behalf of the Fund will be held in the Fund’s custody account at the custodian. The cash manager will use its best endeavors in the
management of the assets of the Fund but provide no guarantee that any profit or interest will accrue to the Fund as a result of such management.
U.S. Treasury Bill Positions for Margin Purposes
The Fund also has market exposure in its U.S. Treasury Bill portfolio. The Fund holds U.S. Treasury Bills with maturities no longer than nine months. Violent fluctuations in prevailing interest rates
could cause minimal mark-to-market losses on the Fund’s U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Fund and Campbell & Company, severally, attempt to manage the risk of the Fund’s open positions is essentially the same in all market categories traded. Campbell & Company
applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms
of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.
General
The Fund is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties
that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Fund generally will use a small percentage of assets as margin, the Fund does
not believe that any increase in margin requirements, as proposed, will have a material effect on the Fund’s operations.
During the nine months ended September 30, 2020, the Fund operated as normal during the coronavirus (“COVID-19”) outbreak. The Fund had access to and the ability to trade in approved markets. There were
no disruptions in the Fund’s accounting processes, transfer agent processes or cash processes including the ability to pay redemptions and meet margin requirements.
The future impact of the COVID-19 outbreak on the financial performance of the Fund’s investments will depend on future developments, including the duration and spread of the virus and related
advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended
period, the Fund’s ability to trade and investment results may be materially affected.
Campbell & Company, the general partner of the Fund, with the participation of the general partner’s chief executive officer and chief operating officer, has evaluated the effectiveness of the
design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Fund as of the end of the period covered by this quarterly report. Based on their
evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. There were no changes in the general partner’s internal control over financial reporting applicable to the
Fund identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal
control over financial reporting applicable to the Fund.
PART II-OTHER INFORMATION
None
None
None
Not applicable.
Not applicable.
None
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
4.01
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition as
of September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2020 and 2019, (v)
Statements of Changes in Partners’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and 2019, (vii) Notes to Financial
Statements.
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Registration Statement on Form S-1 on April 27, 2010.
|
(2) |
Incorporated by reference to the respective exhibit to Post-Effective Amendment No. 2 to the Registration Statement on Form S-1 on April 7, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on November 14, 2017.
|
(4) |
Incorporated by reference to the respective exhibit to the Quarterly Report on Form 10-Q on May 15, 2014.
|
EXHIBIT INDEX
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition as of
September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2020 and 2019, (v)
Statements of Changes in Partners’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and 2019, (vii) Notes to Financial
Statements.
|
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
CAMPBELL STRATEGIC ALLOCATION FUND, L.P.
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
General Partner
|
|||
Date: November 16, 2020
|
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
|||
Chief Executive Officer
|
42